First make the sauce. Put the milk and bay leaves in a saucepan and heat to boiling point. Remove from the heat and leave to infuse for 20 minutes. Discard the bay leaves.
Melt the butter in a separate saucepan, add the flour and cook over a medium heat, stirring constantly, for 1 minute. Gradually stir in the milk and continue to cook, stirring, until the mixture boils. Reduce the heat and simmer for 2 minutes. Remove from the heat, add most of the Cheddar and stir until melted.
Meanwhile, heat the oil in a frying pan, add the garlic, thyme, mushrooms and salt and pepper and cook over a medium heat, stirring frequently, for 5 minutes until tender. Squeeze out the excess water from the spinach and roughly chop. Stir into the mushroom mixture. Remove from the heat.
Lightly oil a 2.5 litre (4 pint) lasagne dish with spray oil. Spread a quarter of the cheese sauce over the base and add one-third of the mushroom and spinach mixture and a lasagne sheet. Repeat these layers twice more. Add a final layer of sauce to cover the lasagne and scatter over the remaining cheese. Bake in a preheated oven, 190°C (375°F), Gas Mark 5, for 35–40 minutes until browned.